Value-at-risk in central and eastern european stock market : an empirical investigation using symmetric and asymmetric garch models
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F10%3A10049935" target="_blank" >RIV/00216208:11230/10:10049935 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Value-at-risk in central and eastern european stock market : an empirical investigation using symmetric and asymmetric garch models
Original language description
The article focuses on the calculation of Value-at-Risk (VaR) for major Central and Eastern European equity markets. Using daily return data from the four major Central and Eastern European stock markets including fourteen highly liquid stocks and ATX (Vienna), PX (Prague), BUX (Budapest), and WIG20 (Warsaw) market indices, the main goal of the study is to model the VaR using a set of univariate GARCH-type models. The results show that, in both in-sample and out-of-sample value-at-risk estimations, themodels based on asymmetric distribution of the error term tend to perform better or at least as well as the models based on symmetric distributions (i.e., Normal or Student) when the left tails of daily return distributions are concerned.
Czech name
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Czech description
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Classification
Type
C - Chapter in a specialist book
CEP classification
AH - Economics
OECD FORD branch
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Result continuities
Project
<a href="/en/project/GA402%2F08%2F0004" target="_blank" >GA402/08/0004: Model of Credit Risk Management in the Czech Republic and its Applicability in the EU Banking Sector</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)<br>Z - Vyzkumny zamer (s odkazem do CEZ)
Others
Publication year
2010
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Book/collection name
Advanced measurement techniques form market and operational risk
ISBN
978-80-246-1871-5
Number of pages of the result
42
Pages from-to
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Number of pages of the book
262
Publisher name
Karolinum
Place of publication
Prague
UT code for WoS chapter
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